From 0da6787f4b8f8dca74c113c6d7b0abc41c6bb74c Mon Sep 17 00:00:00 2001 From: hu Date: Wed, 20 Aug 2025 08:19:12 +0000 Subject: [PATCH 1/4] asd --- Config (1).py | 49 +++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 49 insertions(+) create mode 100644 Config (1).py diff --git a/Config (1).py b/Config (1).py new file mode 100644 index 00000000..0e432ced --- /dev/null +++ b/Config (1).py @@ -0,0 +1,49 @@ +""" +2022 B圈新版课程 | 邢不行 +author: 邢不行 +微信: xbx6660 +""" +import os + +_ = os.path.abspath(os.path.dirname(__file__)) # 返回当前文件路径 +root_path = os.path.abspath(os.path.join(_, '..')) # 返回根目录文件夹 + +# 币安永续合约历史1小时数据-币对分类 下载地址:https://www.quantclass.cn/data/coin/coin-binance-swap-candle-csv-1h +# k线数据路径 +kline_path = r'C:\BaiduNetdiskDownload\中性研究小组专属数据\swap_binance_1h/' +# 回测信息配置 +# offset +offset = 5 +# 选币因子 +factor_list = [ + # ('BiasVolume', False, [55], 0.5), + ('VolumeStd', True, [8], 0.5), + ('MtmMean', False, [89], 0.5), +] + +# 确认过滤因子及其参数 +filter_list = [ + # ('ZhangDieFuAbsMax', [13]), + ('TakerBuy', [8]), +] + +start_date = '2021-01-01' # 回测开始时间 +end_date = '2023-01-15' # 回测结束时间 +select_coin_num = 1 # 选币数量。1 表示做多一个币，同时做空一个币 +c_rate = 4 / 10000 # 手续费 +min_kline_num = 99 # 最小k线限制。如果币种k线少于 min_kline_num ，就不交易该币种。与实盘 get_kline_num 对应 +hold_period = '6H' # 持仓周期 +leverage = 1 # 资金杠杆 +margin_rate = 0.05 # 维持保证金率，净值低于这个比例会爆仓 +black_list = ['BTCDOM-USDT', 'DEFI-USDT'] # 黑名单。不参与交易的币种 + +# 需要使用的选币因子 +factor_class_list = ['VolumeStd', 'MtmMean'] + +# 需要使用的过滤因子 +# filter_class_list = ['TakerBuy', 'ZhangDieFuAbsMax'] +filter_class_list = ['TakerBuy'] + + + + -- Gitee From 43d991933e5c317bed3fa4521bd081a449d89f84 Mon Sep 17 00:00:00 2001 From: hu Date: Wed, 20 Aug 2025 08:19:42 +0000 Subject: [PATCH 2/4] test Signed-off-by: hu --- Config (1).py | 6 +----- 1 file changed, 1 insertion(+), 5 deletions(-) diff --git a/Config (1).py b/Config (1).py index 0e432ced..0cd330c6 100644 --- a/Config (1).py +++ b/Config (1).py @@ -1,8 +1,4 @@ -""" -2022 B圈新版课程 | 邢不行 -author: 邢不行 -微信: xbx6660 -""" + import os _ = os.path.abspath(os.path.dirname(__file__)) # 返回当前文件路径 -- Gitee From 5539cffe59e2dfc1d1651a83abebe2e2fe0b468e Mon Sep 17 00:00:00 2001 From: hu Date: Wed, 20 Aug 2025 08:20:21 +0000 Subject: [PATCH 3/4] Remove Config (1).py --- Config (1).py | 45 --------------------------------------------- 1 file changed, 45 deletions(-) delete mode 100644 Config (1).py diff --git a/Config (1).py b/Config (1).py deleted file mode 100644 index 0cd330c6..00000000 --- a/Config (1).py +++ /dev/null @@ -1,45 +0,0 @@ - -import os - -_ = os.path.abspath(os.path.dirname(__file__)) # 返回当前文件路径 -root_path = os.path.abspath(os.path.join(_, '..')) # 返回根目录文件夹 - -# 币安永续合约历史1小时数据-币对分类 下载地址:https://www.quantclass.cn/data/coin/coin-binance-swap-candle-csv-1h -# k线数据路径 -kline_path = r'C:\BaiduNetdiskDownload\中性研究小组专属数据\swap_binance_1h/' -# 回测信息配置 -# offset -offset = 5 -# 选币因子 -factor_list = [ - # ('BiasVolume', False, [55], 0.5), - ('VolumeStd', True, [8], 0.5), - ('MtmMean', False, [89], 0.5), -] - -# 确认过滤因子及其参数 -filter_list = [ - # ('ZhangDieFuAbsMax', [13]), - ('TakerBuy', [8]), -] - -start_date = '2021-01-01' # 回测开始时间 -end_date = '2023-01-15' # 回测结束时间 -select_coin_num = 1 # 选币数量。1 表示做多一个币，同时做空一个币 -c_rate = 4 / 10000 # 手续费 -min_kline_num = 99 # 最小k线限制。如果币种k线少于 min_kline_num ，就不交易该币种。与实盘 get_kline_num 对应 -hold_period = '6H' # 持仓周期 -leverage = 1 # 资金杠杆 -margin_rate = 0.05 # 维持保证金率，净值低于这个比例会爆仓 -black_list = ['BTCDOM-USDT', 'DEFI-USDT'] # 黑名单。不参与交易的币种 - -# 需要使用的选币因子 -factor_class_list = ['VolumeStd', 'MtmMean'] - -# 需要使用的过滤因子 -# filter_class_list = ['TakerBuy', 'ZhangDieFuAbsMax'] -filter_class_list = ['TakerBuy'] - - - - -- Gitee From 9b179a52041ceca566a3ae48b7ba012d50e6cb89 Mon Sep 17 00:00:00 2001 From: hu Date: Wed, 20 Aug 2025 08:21:00 +0000 Subject: [PATCH 4/4] feat(config): add initial backtest configuration with factors and filters Set up core configuration including kline path, factor list, filter list, trading parameters, and black list for cryptocurrency backtesting strategy. --- config.py | 44 ++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 44 insertions(+) create mode 100644 config.py diff --git a/config.py b/config.py new file mode 100644 index 00000000..9abc1677 --- /dev/null +++ b/config.py @@ -0,0 +1,44 @@ + +import os + +_ = os.path.abspath(os.path.dirname(__file__)) # 返回当前文件路径 +root_path = os.path.abspath(os.path.join(_, '..')) # 返回根目录文件夹 + +# k线数据路径 +kline_path = r'C:\BaiduNetdiskDownload\中性研究小组专属数据\swap_binance_1h/' +# 回测信息配置 +# offset +offset = 5 +# 选币因子 +factor_list = [ + # ('BiasVolume', False, [55], 0.5), + ('VolumeStd', True, [8], 0.5), + ('MtmMean', False, [89], 0.5), +] + +# 确认过滤因子及其参数 +filter_list = [ + # ('ZhangDieFuAbsMax', [13]), + ('TakerBuy', [8]), +] + +start_date = '2021-01-01' # 回测开始时间 +end_date = '2023-01-15' # 回测结束时间 +select_coin_num = 1 # 选币数量。1 表示做多一个币，同时做空一个币 +c_rate = 4 / 10000 # 手续费 +min_kline_num = 99 # 最小k线限制。如果币种k线少于 min_kline_num ，就不交易该币种。与实盘 get_kline_num 对应 +hold_period = '6H' # 持仓周期 +leverage = 1 # 资金杠杆 +margin_rate = 0.05 # 维持保证金率，净值低于这个比例会爆仓 +black_list = ['BTCDOM-USDT', 'DEFI-USDT'] # 黑名单。不参与交易的币种 + +# 需要使用的选币因子 +factor_class_list = ['VolumeStd', 'MtmMean'] + +# 需要使用的过滤因子 +# filter_class_list = ['TakerBuy', 'ZhangDieFuAbsMax'] +filter_class_list = ['TakerBuy'] + + + + -- Gitee